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- W4301602302 abstract "We study asset price bubbles in market models with proportional transaction costs $lambdain (0,1)$ and finite time horizon $T$ in the setting of [49]. By following [28], we define the fundamental value $F$ of a risky asset $S$ as the price of a super-replicating portfolio for a position terminating in one unit of the asset and zero cash. We then obtain a dual representation for the fundamental value by using the super-replication theorem of [50]. We say that an asset price has a bubble if its fundamental value differs from the ask-price $(1+lambda)S$. We investigate the impact of transaction costs on asset price bubbles and show that our model intrinsically includes the birth of a bubble." @default.
- W4301602302 created "2022-10-05" @default.
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- W4301602302 date "2019-11-22" @default.
- W4301602302 modified "2023-09-27" @default.
- W4301602302 title "Asset Price Bubbles in market models with proportional transaction costs" @default.
- W4301602302 doi "https://doi.org/10.48550/arxiv.1911.10149" @default.
- W4301602302 hasPublicationYear "2019" @default.
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